Okay, so, there's a lot of confusion about Batman: Arkham City's save files that I've seen, ranging from save files disappearing to questions about backing up save files. After tinkering for a few hours, I've learned a few things that may be useful to others.

First of all, let's go over how the save files work. Your actual save files are stored in Steam\userdata\<id>\57400\remote. However, the catch is, these files are encrypted using a special key. This key is generated when you first log in to Games for Windows Live on your PC. However, despite being generated when you log in, if you logged in on a different computer or cleared your GFWL data on your computer and re-logged in, it would make a different key, thus invalidating your save files.

This is important to understand when tinkering with the AC save files so that we don't lose the encryption key. Your encryption key is stored with your GFWL data found in C:\Users\<your Windows username>\AppData\Local\Microsoft\XLive (This may be on a different drive letter depending on your PC configuration). In order to find this folder, you will need to type it in manually because the AppData folder is hidden by default.

As a note, as part of these tutorials, it's generally a good idea to back up folders before you overwrite them.

So, now that we have that established, here's how to move your save file around:

BACKUP
Your actual save file is backed up on Steam Cloud, so I wouldn't worry about it. However, if you're paranoid about it, copy out the Steam\userdata\<id>\57400\remote folder.
That being said, this save file will ONLY work with your GFWL encryption key, so you'll need to back that up. Simply copy the aforementioned XLive directory to your backup.

RESTORING FROM BACKUP
Start up the game and log in to GFWL. Then, close the game and replace your XLive folder (and your remote folder as well if you aren't using Steam Cloud for backup). Also, note that if you have made new GFWL save files in other games with a new XLive folder, it will probably mess up those files when you restore your backup.

RESTORING WITHOUT A BACKUP
This can be a little more tricky, but it's do-able. It requires that Previous Versions is enabled on your computer, which it is in most Windows installations. To fix a dissapearing save file, go to your XLive folder in Windows Exporer. Right click it and select properties. In this window, there is a "Previous Versions" tab. If you have this feature enabled, this tab will show a list of dates in which Windows has made backups of this folder. All you need to do is restore this folder to a time when your save file worked. You may need to fiddle with the folder version you revert to - I ended up restoring it to two weeks before I even had Arkham City.
You may also need to follow this same process with your remote folder.

SYNCING YOUR SAVES BETWEEN COMPUTERS
In order to have your Steam Cloud save file work on multiple computers, all of those computers will have to have your GFWL encryption key. Let's say you have a desktop PC and you want to sync with your laptop. On your laptop, download and run the game, signing in to GFWL. Then, close the game and overwrite your laptop's XLive folder with your desktop's XLive folder. If you have Steam Cloud enabled, it'll take care of the actual save file and everything should work.

Anyway, I hope that helps a few people out. I don't check Steam Forums often, but if you have any questions I'll try to check back and answer them.

Thanks for clearing that up! I decided to rename my gamertag and change my password, which causes my save file to vanish! I only played about four hours but I certainly wasn't happy. No more name changes for me, but I will be updating my save after every time I play, just because I don't trust GFWL.

Doesn't work for me either. I have the .sgd file, but it won't be recognized, and nothing I can control changed (I'm using the same login/password/name etc.) Something DID change, because when my save was working it would enter the game, then say "a login change occurred" and shoot me back to the menu... and now it doesn't. But I don't know what to do about that fact. I'm logged into GFWL as I used to be, it's just that the save game simply isn't recognised.

Nothing worked for me, I tried all the suggested steps and even my own tinkering, nothing worked. I am just so jarateed and upset with Rocksteady's illogical decision to go with GFWL, the most unstable and horribly scripted shell in the history of programming!
I lost 16hrs as clocked by Steam, it is a lot of effort; I am nothing compared to the people who lost 100+hrs of their life that was put into the game. What's even worse is restarting the game and playing, then have it happen again!

The only solution, as I see it, is to drop the game's ties with GFWL and put that damn piece of crap client service out of its misery, and in that turn end our torture and coerced use of that atrocious Microsoft bile.

Thank you so much, man, the "Previous versions" option helped me. I thought that I was gonna lose all these 35 hours (yeah, had to use a nerd mode to get the Riddler trophies) of gameplay because of this ♥♥♥♥ing GFWL. This thing thought it would be really funny to delete my offline profile when I tried to create the online one for the challenges. Well, ♥♥♥♥ that.
*Note to self* NEVER try anything that has something to do with Microsoft and their services.
PS: the exact steps was to go to GFWL, delete the new profile that ruined everything, restore the XLive folder to the backup made 1 day ago, and sign in again.

FIRST, when I purchased the game from Steam, it wouldn't unlock on my profile meaning my cash was gone but I had no game. This was due to an error in the steamclient not wanting to return to the homepage. After reinstalling the client I finally got the game.

THEN the GFWL shell told me me activation key was already in use. Which was odd since it was a first install. After Steam customer service provided me (and many like me)with a new key I got the game up and running.

THEN I find out my crossfired HD6950's won't give me a decent framerate running this thing in DX11

THEN after 6 hours of play my savegame dissappears...

I was, and still am, at a point where I don't care HOW many workarounds people have found to get this piece of crap running.

I've already cut my losses and have purchased the PS3 version which I'm playing right now without a single hitch. Unless Rocksteady come out with the mother of all patches that magically turns this game into a playable piece of software I'm never going back to the PC version of Batman AC...ever

Finally, something has worked. I'm at 51% when I was at 62% though, have to find Azrael again, lost 2 Riddler hostages, a ton of trophies and riddles, beat 3 AR trainings, but it's better than starting from scratch.